Correspondence: Andrea S. Au, State Street Global Advisors, Boston, Massachusetts, USA. Tel: +1 617 664 9962; Fax: +1 617 664 6133; E-mail: andrea_au@ssga.com

¹is a quantitative research analyst at State Street Global Advisors' Advanced Research Center in Boston, Massachusetts, USA.

Received 15 February 2007; Revised 15 February 2007.

Abstract

The impact of analyst forecasts is undeniable. However, previous research on analyst factors yields either event strategies that are unimplementable or consensus strategies whose effectiveness has diminished. My analysis looks at independent and combined effectiveness of consensus, dispersion, and an untested revision measure for earnings, recommendations, and price targets in the European market. My results suggest that investors designing an analyst trading strategy should look beyond earnings or recommendations alone and include measures other than simple consensus.